Two primary files are needed to run the VAR: 

(1) "setup_var_data.R" --- This uses the raw contract data to create the dataset. As with the Five Facts setup files, users will not be able to run this code directly, but will need to construct a dataset from the raw files that contains observations by NAICS2 SECTOR and MONTH. 

(2) "VAR.do" --- This file runs the VAR with the following data inputs: 

 (+) mgdp.xlsx --- this file contains monthly real gdp estimates from S&P 
    (Link: https://cdn.ihsmarkit.com/www/default/1020/US-Monthly-GDP-History-Data.xlsx) 
 
 (+) shadowrate_monthly.csv --- Wu-Xia shadow rates 
    (Link: https://sites.google.com/view/jingcynthiawu/shadow-rates)

 (+) Users will also need to create a FRED API Key and input this into line 35 
     of the .do file to pull other macroeconomic data from FRED 
    (Link: https://fred.stlouisfed.org/docs/api/api_key.html)

